Where does Hank go with Sheriff McKellroy and Collins after the station in Chapter Eleven? Why?

Hank is accompanied by two officers to the scene of Baxter's body at a tollbooth on the Ohio Turnpike. Hank says that the body is the man who had left the police station with Carl and who had identified himself as Neal Baxter of the FBI. Hank notes that he's relieved and that the entire ordeal is truly over.